CDO term structure modelling with Levy processes and the relation to market models

This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the forward rates are driven by a finite dimensional L\'evy process. The contribution of this work is twofold: we provide conditions for absence of arbitrage in this generalized framework. Furthermore, we study the relation to market models by embedding them in the forward rate framework in spirit of Brace, Gatarek and Musiela (1997).Comment: 16 page

Assessing the EU pressure for rules change: perception by southern Mediterranean energy regulators

This paper analyses the perception of the EU as rules promoter of energy regulatory agencies in four southern Mediterranean countries: Algeria, Egypt, Turkey and Jordan. The restructuring of the energy sector, as promoted by the EU in the southern Mediterranean region, is considered as the main criteria to evaluate the EU modes of external governance. EU modes of governance are assessed in a comparative way through a perception survey. The case studies have been selected due to their relevance in terms of energy sector restructuring and energy exchanges, Among the modes of governance considered, the top-down approach appears as the most promising mode of rules diffusio

Two-Loop Gap Equations for the Magnetic Mass

One-loop gap equations have recently been used by several authors to estimate the non-perturbative mass gap in a 3-dimensional gauge theory. I extend the method to two loops and demonstrate, that the resulting gap equation has a real and positive solution $m \simeq 0.34 g^2$, which is in good agreement with the one-loop results and lattice data.Comment: 10 pages, 1 figure, LaTe

Analysis of Fourier transform valuation formulas and applications

The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of the asset price process. An interplay between the conditions on the payoff function and the process arises naturally. We also extend these results to the multi-dimensional case, and discuss the calculation of Greeks by Fourier transform methods. As an application, we price options on the minimum of two assets in L\'evy and stochastic volatility models.Comment: 26 pages, 3 figures, to appear in Appl. Math. Financ

Sonoluminescence as a QED vacuum effect. II: Finite Volume Effects

In a companion paper [quant-ph/9904013] we have investigated several variations of Schwinger's proposed mechanism for sonoluminescence. We demonstrated that any realistic version of Schwinger's mechanism must depend on extremely rapid (femtosecond) changes in refractive index, and discussed ways in which this might be physically plausible. To keep that discussion tractable, the technical computations in that paper were limited to the case of a homogeneous dielectric medium. In this paper we investigate the additional complications introduced by finite-volume effects. The basic physical scenario remains the same, but we now deal with finite spherical bubbles, and so must decompose the electromagnetic field into Spherical Harmonics and Bessel functions. We demonstrate how to set up the formalism for calculating Bogolubov coefficients in the sudden approximation, and show that we qualitatively retain the results previously obtained using the homogeneous-dielectric (infinite volume) approximation.Comment: 23 pages, LaTeX 209, ReV-TeX 3.2, five figure

Gauge Theories with Cayley-Klein SO(2;j)SO(2;j) and SO(3;j)SO(3;j) Gauge Groups

Gauge theories with the orthogonal Cayley-Klein gauge groups $SO(2;j)$ and $SO(3;{\bf j})$ are regarded. For nilpotent values of the contraction parameters ${\bf j}$ these groups are isomorphic to the non-semisimple Euclid, Newton, Galilei groups and corresponding matter spaces are fiber spaces with degenerate metrics. It is shown that the contracted gauge field theories describe the same set of fields and particle mass as $SO(2), SO(3)$ gauge theories, if Lagrangians in the base and in the fibers all are taken into account. Such theories based on non-semisimple contracted group provide more simple field interactions as compared with the initial ones.Comment: 14 pages, 5 figure

Alvin J. Siteman Cancer Center: Cancer prevention perspective

We summarize Siteman Cancer Center catchment that covers 82 counties in southern Illinois and eastern Missouri. We note both the high poverty and cancer rates in many rural counties. Siteman Community Outreach and Engagement has developed a number of strategies to move towards achieving health equity. These include NCI-funded research projects in rural clinics and outreach to improve access to cancer prevention services. To increase capacity for community-engaged research, we have developed and refined a Community Research Fellows Training Program

Sonoluminescence as a QED vacuum effect: Probing Schwinger's proposal

Several years ago Schwinger proposed a physical mechanism for sonoluminescence in terms of photon production due to changes in the properties of the quantum-electrodynamic (QED) vacuum arising from a collapsing dielectric bubble. This mechanism can be re-phrased in terms of the Casimir effect and has recently been the subject of considerable controversy. The present paper probes Schwinger's suggestion in detail: Using the sudden approximation we calculate Bogolubov coefficients relating the QED vacuum in the presence of the expanded bubble to that in the presence of the collapsed bubble. In this way we derive an estimate for the spectrum and total energy emitted. We verify that in the sudden approximation there is an efficient production of photons, and further that the main contribution to this dynamic Casimir effect comes from a volume term, as per Schwinger's original calculation. However, we also demonstrate that the timescales required to implement Schwinger's original suggestion are not physically relevant to sonoluminescence. Although Schwinger was correct in his assertion that changes in the zero-point energy lead to photon production, nevertheless his original model is not appropriate for sonoluminescence. In other works (see quant-ph/9805023, quant-ph/9904013, quant-ph/9904018, quant-ph/9905034) we have developed a variant of Schwinger's model that is compatible with the physically required timescales.Comment: 18 pages, ReV_TeX 3.2, 9 figures. Major revisions: This document is now limited to providing a probe of Schwinger's original suggestion for sonoluminescence. For details on our own variant of Schwinger's ideas see quant-ph/9805023, quant-ph/9904013, quant-ph/9904018, quant-ph/990503

Completeness of evanescent modes in layered dielectrics

In the presence of a dielectric slab, the modes of the free electromagnetic field comprise traveling modes, consisting of incoming, reflected, and transmitted parts, as well as trapped modes that are subject to repeated total internal reflection and emerge as evanescent field outside the slab. Traveling modes have a continuous range of frequencies, but trapped modes occur only at certain discrete frequencies. We solve the problem of which relative weight to use when summing over all modes, as commonly required in perturbative calculations. We demonstrate the correctness of our method by showing the completeness of electromagnetic field modes in the presence of a dielectric slab. We derive a convenient method of summing over all modes by means of a single contour integral, which is very useful in standard quantum electrodynamic calculations

Constraints on non-universal soft terms from flavor changing neutral currents

The smallness of flavor changing neutral currents constrains the soft parameter space of supersymmetric extensions of the Standard Model. These low energy constraints are translated to the soft parameter space generated at some high energy scale \Mgut. For gaugino masses larger than the scalar masses and non-universal $A$-terms the constraints are significantly diluted at \Mgut and do allow for the possibility of non-universal scalar masses. The strongest constraints arise in the slepton sector of the theory.Comment: 15 pages (harvmac) and 5 figures (uuencoded), MPI-PhT/94-5